How to change font for text objects?
You can change the font used for a text object under the Object Data properties panel.



Here you can specify different fonts for standard, bold, and italics; as well as various other typesetting parameters.  You can also define a set of objects as a custom font by naming them something like fontName_a, fontName_b, etc. and use fontName_ as the Object Font.



In order to find fonts easily I have bookmarked my system's fonts folder (C:\Windows\Fonts\ on Windows, /Library/Fonts on macOS) in Blender's file browser so I can quickly add new fonts.  Note: as Chebhou explains in his answer you can also set the default directory for when browsing for fonts in the user preferences.



Note that as of Blender 2.76, you the file browser's thumbnail display mode now works for previewing fonts.